Augmented Dickey Fuller Test

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cze
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Joined: Tue May 21, 2013 5:59 am

Augmented Dickey Fuller Test

Postby cze » Tue May 21, 2013 6:05 am

Hello,

I have a question regarding the interpretation of an ADF output.

When performing on a time series of a stock, is it possible to make a statement regarding the strength of the trend in the time series when looking either at the t-stat from the ADF or the t-stat of the @Trend coefficient?

So, when comparing two time series of 2 stocks (of equal lenght), can one say stock X has a stronger (more explosive behavior) than stock Y because of the values of the t-stat?

Thanks very much in advance

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